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Investing Research Articles

3597 Research Articles

Options Strategies with Long Stock Positions

Can holders of popular large-capitalization stocks improve portfolio performance by systematically buying or selling options on these stocks? In their February 2024 paper entitled “The Performance of Options-Based Investment Strategies: Evidence for Individual Stocks from 2004 to 2019”, Zhuo Li and Thomas Miller, Jr. compare to buy-and-hold the performances of four strategies that augment a… Keep Reading

Intraday Trading of Overactive Stocks via Opening Range Breakout

Can day traders get rich with an Opening Range Breakout (ORB) strategy that buys (sells) unusually active stocks with positive (negative) opens that break out to new highs (lows) during the first five minutes of the trading day? In their February 2024 paper entitled “A Profitable Day Trading Strategy For The U.S. Equity Market”, Carlo… Keep Reading

Economic Data Risk Premium In Short-term Options

Do economic data releases trigger predictably large returns in short-term equity index options? In their February 2024 paper entitled “Expected 1DTE Option Returns”, Michael Johannes, Andreas Kaeck, Norman Seeger and Neel Shah analyze returns to one-day-to-expiration (1DTE) S&P 500 Index options. They study 1DTE options rather than zero-day-to-expiration (0DTE) options to capture effects of market… Keep Reading

Managing Technological Disruption Risk in Investments

Technological disruption (as experienced with widespread electrification and the rise of the world-wide web, and imagined for artificial intelligence) is a recurring feature of human history. Such disruptions presents risks and opportunities for investors. How can investors manage such risk? In their February 2024 paper entitled “Technological Disruption and Long-Term Investors: Managing Risk and Opportunities”,… Keep Reading

Weekly Summary of Research Findings: 3/25/24 – 3/28/24

Below is a weekly summary of our research findings for 3/25/24 through 3/28/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Testing a 70-30 SPY-BIL Strategy

A subscriber asked for assessment of a strategy that holds 70% SPDR S&P 500 ETF Trust (SPY) and 30% SPDR Bloomberg 1-3 Month T-Bill ETF (BIL) (SPY-BIL 70-30), rebalanced every eight weeks, with explicit comparison to the 50% Simple Asset Class ETF Value Strategy Best Value-50% Simple Asset Class ETF Momentum Strategy Equal-Weighted Top 2… Keep Reading

A Professor’s Stock Picks

Does finance professor David Kass, who presents annual lists of stock picks on Seeking Alpha, make good selections? To investigate, we consider his picks of: “10 Stocks for 2020”: APPL, BAC, BRK-A, WBD, JPM, MSFT, OXY, PH, SWK, STNE “16 Stocks For 2021”: GOOG, ABBV, AMZN, APPL, BAC, BRK-A, CABO, CHTR, LSXMK, META, MU, MSFT,… Keep Reading

Stock Market Returns Around Holidays in Aggregate

Is the behavior of the U.S. stock market around exchange holidays consistent enough to generate an aggregate pattern? To investigate, we look at daily S&P 500 Index returns from three trading days before a holiday through three trading days after for the following holidays (adding the Super Bowl) as available since 1950: New Year’s Day… Keep Reading

Stock Returns Around Easter

Does the seasonal shift marked by the Easter holiday, with the U.S. stock market closed on the preceding Good Friday, produce anomalous returns? To investigate, we analyze the historical behavior of the S&P 500 Index before and after the holiday. Using daily closing levels of the S&P 500 index for 1950-2023 (74 events), we find… Keep Reading

Weekly Summary of Research Findings: 3/18/24 – 3/22/24

Below is a weekly summary of our research findings for 3/18/24 through 3/22/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.